CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE 1-Day Volatility Index

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CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0000	5.00***
β GARCH Volatility persistence	0.0005	14.17***
γ leverage Additional response to negative shocks	0.5000	33.55***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.5519	20.69***
λ₃ tau persistence Long-term factor persistence	0.0000	1.43

V-Lab

T-Rex 2X Long TTD DY TGT ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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